This is a preview. Log in through your library . Abstract A compound Poisson process whose randomized time is an independent Poisson process is called a compound Poisson process with Poisson ...

This paper presents new results on the nonhomogeneous bivariate compound Poisson process with a short-term periodic intensity function. The dependence between margins is modeled using the Lévy copula.

N(t) is a Poisson process with rate lambda (interarrival times are exponential) Xi are independent exponential random variables with rate mu N(t) and Xi are independent The goal is to derive the ...

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This project compares two complementary frameworks for modeling VIX dynamics: GARCH-family models (GARCH, EGARCH) — capturing volatility clustering and persistence Compound Poisson Process (CPP) — ...

I will discuss (compound) Poisson process approximation for stabilizing statistics of a stationary strongly mixing point process. The main results are formulated in a Wasserstein distance and are ...